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Funded and unfunded pension schemes : risk, return and welfare

Miles, David - 2000

pensions and on a particular type of unfunded (PAYG) pension. Surprisingly little is known about the optimal split between … state the importance of PAYG pensions differs. We estimate how the optimal level of unfunded, state pensions depends on rate …

Persistent link: https://www.econbiz.de/10009781509

Can investments in emerging markets help to solve the aging problem?

Holzmann, Robert - 2000

Prefunding of pension commitments in OECD economies is increasingly seen as a central strategy to cope with the aging of their populations. This paper argues that investments in emerging markets can help at the margin but are unable to solve the demographic problem. While these investments bring...

Persistent link: https://www.econbiz.de/10009781581

Risk, return and portfolio allocation under alternative pension arrangements with imperfect financial markets

Miles, David; Černý, Aleš - 2001

importance of unfunded, state pensions differs. We estimate how the optimal level of unfunded, state pensions depends on rate of … is rapid and unfunded pensions are currently generous. …

Persistent link: https://www.econbiz.de/10011398101

Abnormal returns and stock price movements : some evidence from developed and emerging markets

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some …-tests, CAR and trading simulation methods are used to test the following hypotheses: H1) abnormal returns can be detected before … the end of the day; H2) there are price effects on the day after abnormal returns occur; H3) these effects are different …

Persistent link: https://www.econbiz.de/10012390869

The standard portfolio choice problem in Germany

Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2015

beliefs about stock market returns and exhibit desirable external validity: they predict real-life stock market participation …

Persistent link: https://www.econbiz.de/10011298558

Rethinking the stock market participation puzzle : a qualitative approach

Duraj, Kamila; Grunow, Daniela; Chaliasos, Michaēl; … - 2025

We revisit the puzzle of limited stock market participation using qualitative methods common in other social sciences but rare in economics. Through in-depth interviews with investors and non-investors in Germany—a high-income country with low market participation—we elicit open-ended...

Persistent link: https://www.econbiz.de/10015426928

Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting

Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...

Persistent link: https://www.econbiz.de/10013380503

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in … causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the … post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

Persistent link: https://www.econbiz.de/10011482859

Asset allocation and monetary policy : evidence from the eurozone

Hau, Harald; Lai, Sandy - 2014

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003 - 2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...

Persistent link: https://www.econbiz.de/10010413745

How accurate are modern value-at-risk estimators derived from extreme value theory?

Auer, Benjamin R.; Mögel, Benjamin - 2016

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and currency market data, we analyse the accuracy of the...

Persistent link: https://www.econbiz.de/10011587888